Australian Asian Options

Manuel Moreno and Javier Navas

No 28, Working Papers from Barcelona School of Economics

Abstract: We study European options on the ratio of the stock price to its average and viceversa. Some of these options are traded in the Australian Stock Exchange since 1992, thus we call them Australian Asian options. For geometric averages, we obtain closed-form expressions for option prices. For arithmetic means, we use different approximations that produce very similar results.

Date: 2003-02
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